From 08c710676ae4c94c06c9350e1950f9c29fc5295e Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Sat, 30 Sep 2023 11:13:21 +0200
Subject: [PATCH] irf matching: add perfect-foresight option
---
src/ComputingTasks.cc | 7 ++++++-
src/DynareBison.yy | 6 ++++--
src/DynareFlex.ll | 1 +
src/ModFile.cc | 22 +++++++++++++---------
src/ParsingDriver.hh | 2 +-
src/Statement.hh | 6 ++++--
6 files changed, 29 insertions(+), 15 deletions(-)
diff --git a/src/ComputingTasks.cc b/src/ComputingTasks.cc
index d77f040d..3625f3b9 100644
--- a/src/ComputingTasks.cc
+++ b/src/ComputingTasks.cc
@@ -5096,7 +5096,12 @@ void
MethodOfMomentsStatement::checkPass(ModFileStructure &mod_file_struct,
[[maybe_unused]] WarningConsolidation &warnings)
{
- mod_file_struct.mom_estimation_present = true;
+ if (auto opt = options_list.get_if<OptionsList::StringVal>("mom.simulation_method");
+ opt && *opt == "PERFECT_FORESIGHT")
+ mod_file_struct.mom_estimation_perfect_foresight_present = true;
+ else
+ mod_file_struct.mom_estimation_stochastic_present = true;
+
// Fill in option_order of mod_file_struct
if (auto opt = options_list.get_if<OptionsList::NumVal>("order"))
{
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index ba6c3d73..f51cf5fc 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -180,7 +180,7 @@ class ParsingDriver;
%token PAC_TARGET_INFO COMPONENT TARGET AUXNAME AUXNAME_TARGET_NONSTATIONARY PAC_TARGET_NONSTATIONARY
%token <string> KIND LL DL DD ADD MULTIPLY
/* Method of Moments */
-%token GMM SMM IRF_MATCHING
+%token GMM SMM IRF_MATCHING PERFECT_FORESIGHT
%token METHOD_OF_MOMENTS MOM_METHOD SIMULATION_METHOD
%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
%token SIMULATION_MULTIPLE MOM_SEED SEED BOUNDED_SHOCK_SUPPORT ADDITIONAL_OPTIMIZER_STEPS MOM_SE_TOLX SE_TOLX MOM_BURNIN BURNIN
@@ -4149,7 +4149,9 @@ o_mom_method : MOM_METHOD EQUAL GMM
| MOM_METHOD EQUAL IRF_MATCHING
{ driver.option_str("mom.mom_method", "IRF_MATCHING"); };
o_simulation_method : SIMULATION_METHOD EQUAL STOCH_SIMUL
- { driver.option_str("mom.simulation_method", "STOCH_SIMUL"); };
+ { driver.option_str("mom.simulation_method", "STOCH_SIMUL"); }
+ | SIMULATION_METHOD EQUAL PERFECT_FORESIGHT
+ { driver.option_str("mom.simulation_method", "PERFECT_FORESIGHT"); };
o_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("mom.penalized_estimator", "true"); };
o_verbose : VERBOSE { driver.option_num("mom.verbose", "true"); };
o_simulation_multiple : SIMULATION_MULTIPLE EQUAL INT_NUMBER { driver.option_num("mom.simulation_multiple", $3); };
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 921d716f..57078599 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -736,6 +736,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_STATEMENT>smm {return token::SMM;}
<DYNARE_STATEMENT>irf_matching {return token::IRF_MATCHING;}
<DYNARE_STATEMENT>stoch_simul {return token::STOCH_SIMUL;}
+<DYNARE_STATEMENT>perfect_foresight {return token::PERFECT_FORESIGHT;}
<DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
<DYNARE_STATEMENT>weighting_matrix_scaling_factor {return token::WEIGHTING_MATRIX_SCALING_FACTOR; }
<DYNARE_STATEMENT>analytic_standard_errors {return token::ANALYTIC_STANDARD_ERRORS; }
diff --git a/src/ModFile.cc b/src/ModFile.cc
index ab261c46..b6a96b2f 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -135,7 +135,7 @@ ModFile::checkPass(bool nostrict, bool stochastic)
|| mod_file_struct.discretionary_policy_present
|| mod_file_struct.calib_smoother_present
|| mod_file_struct.identification_present
- || mod_file_struct.mom_estimation_present
+ || mod_file_struct.mom_estimation_stochastic_present
|| mod_file_struct.sensitivity_present
|| stochastic;
@@ -144,6 +144,7 @@ ModFile::checkPass(bool nostrict, bool stochastic)
&& (mod_file_struct.check_present
|| mod_file_struct.perfect_foresight_solver_present
|| mod_file_struct.perfect_foresight_with_expectation_errors_solver_present
+ || mod_file_struct.mom_estimation_perfect_foresight_present
|| stochastic_statement_present))
{
cerr << "ERROR: At least one model equation must be declared!" << endl;
@@ -179,7 +180,7 @@ ModFile::checkPass(bool nostrict, bool stochastic)
exit(EXIT_FAILURE);
}
- if ((mod_file_struct.perfect_foresight_solver_present || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present)
+ if ((mod_file_struct.perfect_foresight_solver_present || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present || mod_file_struct.mom_estimation_perfect_foresight_present)
&& stochastic_statement_present)
{
cerr << "ERROR: A .mod file cannot contain both one of {perfect_foresight_solver, simul, perfect_foresight_with_expectation_errors_solver} and one of {stoch_simul, estimation, osr, ramsey_policy, discretionary_policy}. This is not possible: one cannot mix perfect foresight context with stochastic context in the same file." << endl;
@@ -307,6 +308,7 @@ ModFile::checkPass(bool nostrict, bool stochastic)
if (linear
&& !mod_file_struct.perfect_foresight_solver_present
&& !mod_file_struct.perfect_foresight_with_expectation_errors_solver_present
+ && !mod_file_struct.mom_estimation_perfect_foresight_present
&& (dynamic_model.isUnaryOpUsedOnType(SymbolType::exogenous, UnaryOpcode::sign)
|| dynamic_model.isUnaryOpUsedOnType(SymbolType::exogenous, UnaryOpcode::abs)
|| dynamic_model.isBinaryOpUsedOnType(SymbolType::exogenous, BinaryOpcode::max)
@@ -518,7 +520,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
|| mod_file_struct.discretionary_policy_present
|| mod_file_struct.calib_smoother_present
|| mod_file_struct.identification_present
- || mod_file_struct.mom_estimation_present
+ || mod_file_struct.mom_estimation_stochastic_present
|| mod_file_struct.sensitivity_present
|| stochastic);
dynamic_model.substituteEndoLeadGreaterThanTwo(deterministic_model);
@@ -570,7 +572,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
}
if (symbol_table.exo_det_nbr() > 0
- && (mod_file_struct.perfect_foresight_solver_present || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present))
+ && (mod_file_struct.perfect_foresight_solver_present || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present || mod_file_struct.mom_estimation_perfect_foresight_present))
{
cerr << "ERROR: A .mod file cannot contain both one of {perfect_foresight_solver, simul, perfect_foresight_with_expectation_errors_solver} and varexo_det declaration (all exogenous variables are deterministic in this case)" << endl;
exit(EXIT_FAILURE);
@@ -589,7 +591,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
}
if (mod_file_struct.occbin_constraints_present
- && (mod_file_struct.osr_present || mod_file_struct.mom_estimation_present
+ && (mod_file_struct.osr_present || mod_file_struct.mom_estimation_perfect_foresight_present || mod_file_struct.mom_estimation_stochastic_present
|| mod_file_struct.ramsey_model_present
|| mod_file_struct.discretionary_policy_present || mod_file_struct.extended_path_present
|| mod_file_struct.identification_present || mod_file_struct.sensitivity_present))
@@ -660,7 +662,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
if (mod_file_struct.stoch_simul_present
|| mod_file_struct.estimation_present || mod_file_struct.osr_present
|| mod_file_struct.ramsey_model_present || mod_file_struct.identification_present
- || mod_file_struct.calib_smoother_present || mod_file_struct.mom_estimation_present)
+ || mod_file_struct.calib_smoother_present || mod_file_struct.mom_estimation_stochastic_present)
static_model.set_cutoff_to_zero();
int derivsOrder = 1;
@@ -686,10 +688,12 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
|| mod_file_struct.stoch_simul_present
|| mod_file_struct.estimation_present || mod_file_struct.osr_present
|| mod_file_struct.ramsey_model_present || mod_file_struct.identification_present
- || mod_file_struct.calib_smoother_present || mod_file_struct.mom_estimation_present)
+ || mod_file_struct.calib_smoother_present
+ || mod_file_struct.mom_estimation_perfect_foresight_present || mod_file_struct.mom_estimation_stochastic_present)
{
if (mod_file_struct.perfect_foresight_solver_present
- || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present)
+ || mod_file_struct.perfect_foresight_with_expectation_errors_solver_present
+ || mod_file_struct.mom_estimation_perfect_foresight_present)
{
int derivsOrder = 1;
if (output == OutputType::second)
@@ -703,7 +707,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
if (mod_file_struct.stoch_simul_present
|| mod_file_struct.estimation_present || mod_file_struct.osr_present
|| mod_file_struct.ramsey_model_present || mod_file_struct.identification_present
- || mod_file_struct.calib_smoother_present || mod_file_struct.mom_estimation_present)
+ || mod_file_struct.calib_smoother_present || mod_file_struct.mom_estimation_stochastic_present)
dynamic_model.set_cutoff_to_zero();
if (mod_file_struct.order_option < 1)
{
diff --git a/src/ParsingDriver.hh b/src/ParsingDriver.hh
index 7ccee5e3..a6d0282c 100644
--- a/src/ParsingDriver.hh
+++ b/src/ParsingDriver.hh
@@ -507,7 +507,7 @@ public:
void linear();
//! Writes a rplot() command
void rplot(vector<string> symbol_list);
- //! Writes a stock_simul command
+ //! Writes a stoch_simul command
void stoch_simul(SymbolList symbol_list);
//! Writes a trend component command
void trend_component_model();
diff --git a/src/Statement.hh b/src/Statement.hh
index 6a8bdc7f..913a0cab 100644
--- a/src/Statement.hh
+++ b/src/Statement.hh
@@ -80,8 +80,10 @@ struct ModFileStructure
bool partial_information{false};
//! Whether the "k_order_solver" option is used (explictly, or implicitly if order >= 3)
bool k_order_solver{false};
- //! Whether an method_of_moments statement is present
- bool mom_estimation_present{false};
+ //! Whether a method_of_moments statement that relies on the stochastic model is present
+ bool mom_estimation_perfect_foresight_present{false};
+ //! Whether a method_of_moments statement that relies on the deterministic model is present
+ bool mom_estimation_stochastic_present{false};
//! Whether an GMM-option is present
bool GMM_present{false};
//! Whether an analytic_standard_errors-option is present
--
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